PRU 4.14.9

An Authorised Person is required, subject to Rule 4.14.12, to include all securitisation Exposures in its calculation of Credit RWAs relating to securitisations, including the following:

(a) those arising from the provision of Credit Risk mitigants to a securitisation;
(b) investments in asset backed Securities;
(c) retention of a subordinated tranche;
(d) extension of a liquidity facility; and
(e) extension of Credit Enhancement.